Winner stocks and loser stocks both tend to be growth stocks

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Reference no: EM132039128

Historically, winner stocks and loser stocks both tend to be growth stocks; they both tend to be medium size stocks. These mean their value beta and size beta are also very similar. Therefore, the winner-minus-loser stock return:

A. Cannot be fully explained by the Fama-French 3 factor model

B. Generate zero alpha in the Fama-French 3 factor model

C. Generate negative alpha in the Fama-French 3 factor model

Reference no: EM132039128

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